Changing preview animation fps
Ok, after some more digging, I found this:

The scene tab does change the FPS, but there is some lock at 30 fps preview rate (at least on my setup) because the FPS indicator goes "red" at exactly 29.97 fps or so. It's most probably not due to scene complexity and the value is too close to 30 fps exactly to be a coincidence. Some kind of vertical sync issue?

To increase the rate anyway, the "Time Remapping" box just underneath the Frame rate box can be used, for example setting it to 100:50 will in effect make the animation twice the speed.

HOWEVER there is a bug (in 2.72) it seems that makes this time remapping not work completely smooth - the "remapped" frame numbers are shown inside the Timeline and Action editor, but the "unmapped" frame numbers are (of course) used for the keyframes (since these are not actually changed by the setting).

So, for example, if you have a 100 frames long animation setup, and you set the remapping to 100:50, you will need to change the start and end frame in the timeline to 0 and 50, or it will not loop correctly. This will show only half the range of your keyframes, since the "display frames" are now remapped compared to the "animation frames"... :/

I can post a screenshot of this if needed but it works for me (don't know if there are any hidden problems other than a display issue).